Watching "A Leap for Lisa," I think I can pinpoint the moment Ziggy turns from "he" to "she." Up until that episode, they still refer to Ziggy as "he," even though the voice in "The Leap Back" is feminine. In "ALFL," when Sam is figuring out that he changed history, and not in a good way, by nixing Al's alibi, he says, "What does he say?" Later, after Al is back, one or the other of them refers to Ziggy as "she."
The closed captioning on the 4th season DVDs is, I have to say, really accurate for what the actors do say, even if it's a flub.